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Apr 03, 2025
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Fall 2025 Graduate Catalog
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AMS 513 - Financial Derivatives and Stochastic Calculus
Further development of derivative pricing theory including the use of equivalent martingale measures, the Girsanov Theorem, the Radon-Nikodym Derivative, and a deeper, more general understanding of the Arbitrage Theorem. Numerical approaches to solving stochastic PDE’s will be further developed. Applications involving interest rate sensitive securities and more complex options will be introduced. Whenever practical examples will use real market data. Numerical exercises and projects in a high-level programming environment will also be assigned.
3 credits
Prerequisite(s): AMS 511 .
Grading Letter graded (A, A-, B+, etc.)
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